# Tag Info

1

One way to start thinking about this is to work out a couple of Discrete versions of Ito's lemma Øksendal (6th edition) Example 3.1.9: almost surely, $$B_t^2 - t = \int_0^t 2B_s dB_s$$ This has a discrete version which holds everywhere: let $X_n=\pm 1$ and $S_n=\sum_{i=1}^n X_i$, then $$S^2_n-n = 2\sum_{i=0}^{n-1} S_i X_{i+1}$$ To verify ...

Only top voted, non community-wiki answers of a minimum length are eligible